forked from 3jane/tindicators
-
Notifications
You must be signed in to change notification settings - Fork 0
/
Copy pathindicators.yaml
209 lines (189 loc) · 20.3 KB
/
indicators.yaml
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
# This file is part of tindicators, licensed under GNU LGPL v3.
# Author: Ilya Pikulin <[email protected]>, 2019-2020
# Author: Linar <[email protected]>, 2019
# This is the index of all indicators present in the library.
# Each entry contains data in the following order:
# - name, elaborated name
# - type
# - inputs, options, outputs
# - extra features
# Interpretation of types:
# overlay: These have roughly the same range as the input data
# indicator: Everything else (e.g. oscillators)
# math: These aren't so good for plotting, but are useful with formulas
# simple: These apply a simple operator (e.g. addition, sin, sqrt)
# comparative: These are designed to take inputs from different securities. i.e. compare stock A to stock B
# Moving averages
dema: ["Double Exponential Moving Average", overlay, [series], [period], [dema], [], 'Technical Analysis from A to Z']
ema: ["Exponential Moving Average", overlay, [series], [period], [ema], [], 'Technical Analysis from A to Z']
hfsma: ["Hampel Filter on Simple Moving Average", overlay, [series], [sma_period, k, threshold], [hfsma], [ref, stream], 'Pearson, Neuvo, Astola, Gabbouj, Generalized Hampel Filters']
hma: ["Hull Moving Average", overlay, [series], [period], [hma], [], '-']
hfema: ["Hampel Filter on Exponential Moving Average", overlay, [series], [ema_period, k, threshold], [hfema], [ref, stream], 'Pearson, Neuvo, Astola, Gabbouj, Generalized Hampel Filters']
sma: ["Simple Moving Average", overlay, [series], [period], [sma], [stream], 'Technical Analysis from A to Z']
lf: ["Laguerre Filter", overlay, [series], [gamma], [lf], [stream], 'Ehlers, Time Warp - Without Space Travel']
rmf: ["Recursive Median Filter", overlay, [series], [critical_period, median_period], [rmf], [stream], 'Stocks & Commodities V. 36:03 (8–11): Recursive Median Filters by John F. Ehlers']
mama: ["MESA Adaptive Moving Average", overlay, [series], [fastlimit, slowlimit], [mama, fama], [ref, stream], 'Ehlers. Rocket Science for Traders, pp. 182-183']
rema: ["Regularized Exponential Moving Average", overlay, [series], [period, lambda], [rema], [stream], 'Satchwell. Regularization. Stocks & Commodities V. 21:7 (38-41)']
tema: ["Triple Exponential Moving Average", overlay, [series], [period], [tema], [], 'Technical Analysis from A to Z']
trima: ["Triangular Moving Average", overlay, [series], [period], [trima], [], 'Technical Analysis from A to Z']
vidya: ["Variable Index Dynamic Average", overlay, [series], [short period, long period, alpha], [vidya], [], '-']
vwma: ["Volume Weighted Moving Average", overlay, [close, volume], [period], [vwma], [], '-']
vwap: ["Volume Weighted Average Price", overlay, [high, low, close, volume], [period], [vwap], [stream, ref], '-']
wilders: ["Wilders Smoothing", overlay, [series], [period], [wilders], [], 'Technical Analysis from A to Z']
wma: ["Weighted Moving Average", overlay, [series], [period], [wma], [], 'Technical Analysis from A to Z']
zlema: ["Zero-Lag Exponential Moving Average", overlay, [series], [period], [zlema], [], '-']
rmta: ["Recursive Moving Trend Average", overlay, [series], [period, beta], [rmta], [], 'Meyers. The Japanese Yen, Recursed']
gf1: ["Gaussian Filter - 1 Pole", overlay, [series], [period], [gf1], [stream, ref], 'Gaussian and Other Low Lag Filters - John Ehlers']
gf2: ["Gaussian Filter - 2 Poles", overlay, [series], [period], [gf2], [stream, ref], 'Gaussian and Other Low Lag Filters - John Ehlers']
gf3: ["Gaussian Filter - 3 Poles", overlay, [series], [period], [gf3], [stream, ref], 'Gaussian and Other Low Lag Filters - John Ehlers']
gf4: ["Gaussian Filter - 4 Poles", overlay, [series], [period], [gf4], [stream, ref], 'Gaussian and Other Low Lag Filters - John Ehlers']
ehma: ["Exponential Hull Moving Average", overlay, [series], [period], [ehma], [stream, ref], 'Raudys, A., Lenčiauskas, V., & Malčius, E. (2013). Moving Averages for Financial Data Smoothing. Information and Software Technologies, 34–45. doi:10.1007/978-3-642-41947-8_4 ']
evwma: ["Elastic Volume Weighted Moving Average", overlay, [close, volume], [period, gamma], [evwma], [stream, ref], 'The Distribution of Share Prices and Elastic Time and Volume Weighted Moving Averages, Christian P. Fries, preprint']
lma: ["Leo Moving Average", overlay, [close], [period], [lma], [stream, ref], 'LEO MOVING AVERAGE + SUPPORT/RESISTANCE']
pwma: ["Power Weighted Moving Average", overlay, [series], [period, power], [pwma], [stream, ref], '-']
swma: ["Sine Weighted Moving Average", overlay, [series], [period], [swma], [stream, ref], 'Raudys, A., Lenčiauskas, V., & Malčius, E. (2013). Moving Averages for Financial Data Smoothing. Information and Software Technologies, 34–45. doi:10.1007/978-3-642-41947-8_4 ']
dwma: ["Double Weighted Moving Average", overlay, [series], [period], [dwma], [ref, stream], 'Stocks & Commodities V. 12:1 (11-19): Smoothing Data With Faster Moving Averages by Patrick G. Mulloy']
shmma: ["Sharp Modified Moving Average", overlay, [series], [period], [shmma], [stream, ref], 'V.18:1 (56-60): More Responsive Moving Averages by Joe Sharp,Ph.D.']
ahma: ["Ahrens Moving Average", overlay, [series], [period], [ahma], [stream, ref], 'Stocks & Commodities V. 31:10 (26-30): Build A Better Moving Average by Richard D. Ahrens']
t3: ["T3 Moving Average", overlay, [series], [period, v], [t3], [stream, ref], 'V.16:1 (33-37): Smoothing Techniques For More Accurate Signals by Tim Tillson']
mhlma: ["Middle-High-Low Moving Average", overlay, [series], [period, ma_period], [mhlsma, mhlema], [stream, ref], 'Stocks & Commodities V. 34:08 (26–29): The Middle-High-Low Moving Average by Vitali Apirine']
cmi: ["Choppy Market Indicator", indicator, [high, low, close], [period], [cmi], [stream, ref], 'Trading Techniques. Measuring market choppiness with chaos']
idwma: ["Inverse Distance Weighted Moving Average", overlay, [series], [period, exponent], [idwma], [stream, ref], 'Shepard, D. (1968). A two-dimensional interpolation function for irregularly-spaced data. Proceedings of the 1968 23rd ACM National Conference on -. doi:10.1145/800186.810616 ']
emsd: ["Exponential Moving Standard Deviation", overlay, [series], [period, ma_period], [emsd], [stream, ref], 'Mathworks. Moving Standard Deviation']
hwma: ["Henderson asymmetric filter", overlay, [series], [period], [hwma], [stream, ref], 'Australian Bureau of Statistics. Time Series Analysis: The Process of Seasonal Adjustment']
hd: ["Homodyne Discriminator", indicator, [series], [], [hd], [stream, ref], 'Ehlers. Rocket Science for Traders, pp. 68-69']
mgdyn: ["McGinley Dynamic", overlay, [series], [N], [mgdyn], [stream, ref], 'Stocks & Commodities V. 28:3 (30-37): The McGinley Dynamic by Brian Twomey']
# Line fitting
linreg: ["Linear Regression", overlay, [series], [period], [linreg], [], '-']
linregintercept: ["Linear Regression Intercept", indicator, [series], [period], [linregintercept], [], '-']
linregslope: ["Linear Regression Slope", indicator, [series], [period], [linregslope], [], '-']
tsf: ["Time Series Forecast", overlay, [series], [period], [tsf], [], '-']
fosc: ["Forecast Oscillator", indicator, [series], [period], [fosc], [], 'Technical Analysis from A to Z']
# Special moving averages and other overlays
bbands: ["Bollinger Bands", overlay, [series], [period, stddev], [bbands_lower, bbands_middle, bbands_upper], [], 'Technical Analysis from A to Z']
bf2: ["Butterworth Filter - 2 Poles", overlay, [series], [period], [bf2], [stream], 'Ehlers. POLES, ZEROS, and HIGHER ORDER FILTERS']
bf3: ["Butterworth Filter - 3 Poles", overlay, [series], [period], [bf3], [stream], 'Ehlers. POLES, ZEROS, and HIGHER ORDER FILTERS']
kc: ["Keltner Channel", overlay, [high, low, close], [period, multiple], [kc_lower, kc_middle, kc_upper], [stream], 'Colby. The Encyclopedia of Technical Market Indicators, p. 337']
kama: ["Kaufman Adaptive Moving Average", overlay, [series], [period], [kama], [], '-']
psar: ["Parabolic SAR", overlay, [high, low], [acceleration factor step, acceleration factor maximum], [psar], [], 'Technical Analysis from A to Z']
pc: ["Price Channel", overlay, [high, low], [period], [pc_low, pc_high], [stream], 'Colby. The Encyclopedia of Technical Market Indicators, p. 534']
pbands: ["Projection Bands", overlay, [high, low, close], [period], [pbands_lower, pbands_upper], [ref, stream], 'Colby. The Encyclopedia of Technical Market Indicators, p. 545']
edcf: ["Ehlers Distance Coefficient Filter", overlay, [series], [length], [edcf], [stream], 'Ehlers. Rocket Science for Traders, p.193']
frama: ["Fractal Adaptive Moving Average", overlay, [high, low], [period, average_period], [frama], [stream], 'Ehlers, FRAMA – Fractal Adaptive Moving Average']
roof: ["The Roofing Filter", overlay, [series], [], [roof], [stream], 'Stocks & Commodities V. 32:1 (16-25): Predictive And Successful Indicators by John F. Ehlers, PhD']
ssmooth: ["SuperSmoother Filter", overlay, [series], [], [ssmooth], [stream], 'Stocks & Commodities V. 32:1 (16-25): Predictive And Successful Indicators by John F. Ehlers, PhD']
hf: ["Hampel Filter", overlay, [series], [period, threshold], [hf], [ref, stream], 'Pearson, Neuvo, Astola, Gabbouj, Generalized Hampel Filters']
# Momentum
ad: ["Accumulation/Distribution Line", indicator, [high, low, close, volume], [], [ad], [], 'Technical Analysis from A to Z']
adosc: ["Accumulation/Distribution Oscillator", indicator, [high, low, close, volume], [short period, long period], [adosc], [], 'Technical Analysis from A to Z']
abands: ["Acceleration Bands", indicator, [high, low, close], [period], [abands_lower, abands_upper, abands_middle], [ref], 'Headley. Big Trends In Trading, p. 92']
apo: ["Absolute Price Oscillator", indicator, [series], [short period, long period], [apo], [], '-']
aroon: ["Aroon", indicator, [high, low], [period], [aroon_down, aroon_up], [], 'Technical Analysis from A to Z']
aroonosc: ["Aroon Oscillator", indicator, [high, low], [period], [aroonosc], [], '-']
ao: ["Awesome Oscillator", indicator, [high, low], [], [ao], [], '-']
bop: ["Balance of Power", indicator, [open, high, low, close], [], [bop], [], '-']
cmf: ["Chaikin Money Flow", indicator, [high, low, close, volume], [period], [cmf], [], 'Kirkpatrick, Dahlquist. Technical Analysis: The Complete Resource for Financial Market Technicians, pp. 419, 421']
mesastoch: ["MESA Stochastic (by John F. Ehlers)", indicator, [series], [period, max_cycle_considered], [mesastoch], [ref, stream], 'Stocks & Commodities V. 32:1 (16-25): Predictive And Successful Indicators by John F. Ehlers, PhD']
cmo: ["Chande Momentum Oscillator", indicator, [series], [period], [cmo], [], 'Technical Analysis from A to Z']
cci: ["Commodity Channel Index", indicator, [high, low, close], [period], [cci], [], 'Technical Analysis from A to Z']
copp: ["Coppock Curve", indicator, [series], [roc_shorter_period, roc_longer_period, wma_period], [copp], [ref, stream], 'Colby. The Encyclopedia of Technical Market Indicators, p. 168']
dpo: ["Detrended Price Oscillator", indicator, [series], [period], [dpo], [], 'Technical Analysis from A to Z']
emv: ["Ease of Movement", indicator, [high, low, volume], [], [emv], [], 'Technical Analysis from A to Z']
fisher: ["Fisher Transform", indicator, [high, low], [period], [fisher, fisher_signal], [], '-']
fi: ["Force Index", indicator, [close, volume], [period], [fi], [ref, stream], 'Colby. The Encyclopedia of Technical Market Indicators, pp. 275, 774']
kvo: ["Klinger Volume Oscillator", indicator, [high, low, close, volume], [short period, long period], [kvo], [], 'Technical Analysis from A to Z']
kst: ["Know Sure Thing", indicator, [series], [roc1, roc2, roc3, roc4, ma1, ma2, ma3, ma4], [kst, kst_signal], [ref], 'Colby. The Encyclopedia Of Technical Market Indicators, pp. 346-347']
marketfi: ["Market Facilitation Index", indicator, [high, low, volume], [], [marketfi], [], '-']
mass: ["Mass Index", indicator, [high, low], [period], [mass], [], 'Technical Analysis from A to Z']
mfi: ["Money Flow Index", indicator, [high, low, close, volume], [period], [mfi], [], 'Technical Analysis from A to Z']
macd: ["Moving Average Convergence/Divergence", indicator, [series], [short period, long period, signal period], [macd, macd_signal, macd_histogram], [], 'Technical Analysis from A to Z']
nvi: ["Negative Volume Index", indicator, [close, volume], [], [nvi], [], 'Technical Analysis from A to Z']
obv: ["On Balance Volume", indicator, [close, volume], [], [obv], [], 'Technical Analysis from A to Z']
ppo: ["Percentage Price Oscillator", indicator, [series], [short period, long period], [ppo], [], '-']
pfe: ["Polarized Fractal Efficiency", indicator, [series], [period, ema_period], [pfe], [ref, stream], 'Colby. The Encyclopedia of Technical Market Indicators, p. 520']
pvi: ["Positive Volume Index", indicator, [close, volume], [], [pvi], [], '-']
posc: ["Projection Oscillator", indicator, [high, low, close], [period, ema_period], [posc], [stream, ref], 'Colby. The Encyclopedia of Technical Market Indicators, p. 545']
qstick: ["Qstick", indicator, [open, close], [period], [qstick], [], 'Technical Analysis from A to Z']
rsi: ["Relative Strength Index", indicator, [series], [period], [rsi], [], 'Technical Analysis from A to Z']
tsi: ["True Strength Index", indicator, [series], [y_period, z_period], [tsi], [stream, ref], 'Blau. True Strength Index. Stocks & Commodities V. 9:11 (438-446).pdf']
rmi: ["Relative Momentum Index", indicator, [series], [period, lookback_period], [rmi], [ref, stream], 'Relative Momentum Index: Modifying RSI by Roger Altman, Stocks and Commodities, Feb ''93']
rvi: ["Relative Volatility Index", indicator, [series], [ema_period, stddev_period], [rvi], [stream], 'Colby. The Encyclopedia of Technical Market Indicators, p. 618']
smi: ["Stochastic Momentum Index", indicator, [high, low, close], [q_period, r_period, s_period], [smi], [stream, ref], 'Blau. Stochastic Momentum. Stocks & Commodities V. 11:1 (11-18).pdf']
stoch: ["Stochastic Oscillator", indicator, [high, low, close], [k period, k slowing period, d period], [stoch_k, stoch_d], [], 'Technical Analysis from A to Z']
stochrsi: ["Stochastic RSI", indicator, [series], [period], [stochrsi], [], '-']
trix: ["Trix", indicator, [series], [period], [trix], [], 'Technical Analysis from A to Z']
wad: ["Williams Accumulation/Distribution", indicator, [high, low, close], [], [wad], [], 'Technical Analysis from A to Z']
willr: ["Williams %R", indicator, [high, low, close], [period], [willr], [], 'Technical Analysis from A to Z']
ultosc: ["Ultimate Oscillator", indicator, [high, low, close], [short period, medium period, long period], [ultosc], [], 'Technical Analysis from A to Z']
vhf: ["Vertical Horizontal Filter", indicator, [series], [period], [vhf], [], 'Technical Analysis from A to Z']
vosc: ["Volume Oscillator", indicator, [volume], [short period, long period], [vosc], [], 'Technical Analysis from A to Z']
er: ["Efficiency Ratio", indicator, [series], [period], [er], [ref, stream], 'Kaufman. Trading Systems and Methods']
pvt: ["Price Volume Trend", indicator, [close, volume], [], [pvt], [ref, stream], 'Buff Pelz Dormeier - Investing with Volume Analysis_ Identify, Follow, and Profit from Trends-FT Press (2011)']
hurst: ["Hurst Exponent Indicator", indicator, [series], [period], [hurst, fractal_dim], [stream, ref], 'Stocks & Commodities V. 25:3 (36-42): Trading Systems And Fractals by Radha Panini']
arsi: ["Adaptive Relative Strength Index", indicator, [series], [cycpart], [arsi], [stream, ref], 'Ehlers. Rocket Science for Traders, pp. 229-231']
# DX, ADX, ADXR, etc
dm: ["Directional Movement", indicator, [high, low], [period], [plus_dm, minus_dm], [], 'Technical Analysis from A to Z']
dx: ["Directional Movement Index", indicator, [high, low], [period], [dx], [], 'Technical Analysis from A to Z']
di: ["Directional Indicator", indicator, [high, low, close], [period], [plus_di, minus_di], [], 'Technical Analysis from A to Z']
adx: ["Average Directional Movement Index", indicator, [high, low], [period], [adx], [], 'Technical Analysis from A to Z']
adxr: ["Average Directional Movement Rating", indicator, [high, low], [period], [adxr], [], 'Technical Analysis from A to Z']
# Waves
msw: ["Mesa Sine Wave", indicator, [series], [period], [msw_sine, msw_lead], [], '-']
# Rate of return, rate of change, momentum indicators
mom: ["Momentum", indicator, [series], [period], [mom], [], '-']
roc: ["Rate of Change", indicator, [series], [period], [roc], [], '-']
rocr: ["Rate of Change Ratio", indicator, [series], [period], [rocr], [], 'Technical Analysis from A to Z']
# Math functions
lag: ["Lag", math, [series], [period], [lag], [], '-']
max: ["Maximum In Period", math, [series], [period], [max], [ref], '-']
min: ["Minimum In Period", math, [series], [period], [min], [ref], '-']
sum: ["Sum Over Period", math, [series], [period], [sum], [], '-']
stddev: ["Standard Deviation Over Period", math, [series], [period], [stddev], [], '-']
stderr: ["Standard Error Over Period", math, [series], [period], [stderr], [], '-']
md: ["Mean Deviation Over Period", math, [series], [period], [md], [], '-']
var: ["Variance Over Period", math, [series], [period], [var], [], '-']
# Price average functions
avgprice: ["Average Price", overlay, [open, high, low, close], [], [avgprice], [], '-']
medprice: ["Median Price", overlay, [high, low], [], [medprice], [], 'Technical Analysis from A to Z']
typprice: ["Typical Price", overlay, [high, low, close], [], [typprice], [], 'Technical Analysis from A to Z']
wcprice: ["Weighted Close Price", overlay, [high, low, close], [], [wcprice], [], 'Technical Analysis from A to Z']
atr: ["Average True Range", indicator, [high, low, close], [period], [atr], [stream, ref], 'Technical Analysis from A to Z']
ce: ["Chandelier Exit", indicator, [high, low, close], [period, coef], [ce_high, ce_low], [stream, ref], 'J. Welles Wilder. New Concepts in Technical Trading Systems, 1978, pp. 21-23']
natr: ["Normalized Average True Range", indicator, [high, low, close], [period], [natr], [], '-']
tr: ["True Range", indicator, [high, low, close], [], [tr], [], 'Technical Analysis from A to Z']
ichi: ["Ichimoku", indicator, [high, low], [period9, period26, period52], [ichi_tenkan_sen, ichi_kijun_sen, ichi_senkou_span_A, ichi_senkou_span_B], [stream, ref], 'Trading with Ichimoku Clouds']
# Volatility
volatility: ["Annualized Historical Volatility", indicator, [series], [period], [volatility], [], '-']
cvi: ["Chaikins Volatility", indicator, [high, low], [period], [cvi], [], 'Technical Analysis from A to Z']
# Utility functions
crossany: ["Crossany", math, [series, series], [], [crossany], [], '-']
crossover: ["Crossover", math, [series, series], [], [crossover], [], '-']
decay: ["Linear Decay", math, [series], [period], [decay], [], '-']
edecay: ["Exponential Decay", math, [series], [period], [edecay], [], '-']
# Simple functions taking two inputs
add: ["Vector Addition", simple, [series, series], [], [add], [], '-']
sub: ["Vector Subtraction", simple, [series, series], [], [sub], [], '-']
mul: ["Vector Multiplication", simple, [series, series], [], [mul], [], '-']
div: ["Vector Division", simple, [series, series], [], [div], [], '-']
abs: ["Vector Absolute Value", simple, [series], [], [abs], [], '-']
acos: ["Vector Arccosine", simple, [series], [], [acos], [], '-']
asin: ["Vector Arcsine", simple, [series], [], [asin], [], '-']
# Simple functions taking one input
atan: ["Vector Arctangent", simple, [series], [], [atan], [], '-']
ceil: ["Vector Ceiling", simple, [series], [], [ceil], [], '-']
cos: ["Vector Cosine", simple, [series], [], [cos], [], '-']
cosh: ["Vector Hyperbolic Cosine", simple, [series], [], [cosh], [], '-']
exp: ["Vector Exponential", simple, [series], [], [exp], [], '-']
floor: ["Vector Floor", simple, [series], [], [floor], [], '-']
ln: ["Vector Natural Log", simple, [series], [], [ln], [], '-']
log10: ["Vector Base-10 Log", simple, [series], [], [log10], [], '-']
round: ["Vector Round", simple, [series], [], [round], [], '-']
sin: ["Vector Sine", simple, [series], [], [sin], [], '-']
sinh: ["Vector Hyperbolic Sine", simple, [series], [], [sinh], [], '-']
sqrt: ["Vector Square Root", simple, [series], [], [sqrt], [], '-']
tan: ["Vector Tangent", simple, [series], [], [tan], [], '-']
tanh: ["Vector Hyperbolic Tangent", simple, [series], [], [tanh], [], '-']
todeg: ["Vector Degree Conversion", simple, [series], [], [degrees], [], '-']
torad: ["Vector Radian Conversion", simple, [series], [], [radians], [], '-']
trunc: ["Vector Truncate", simple, [series], [], [trunc], [], '-']
vi: ["Vortex Indicator", indicator, [high, low, close], [period], [vi_p, vi_m], [ref, stream], 'The Vortex Indicator']